NautilusTrader 1.190.0 Beta

NautilusTrader 1.190.0 Beta

Released on 22nd March 2024 (UTC).

Enhancements

• Added Databento adapter continuous, parent and instrument_id symbology support (will infer from symbols)
• Added DatabaseConfig.timeout config option for timeout seconds to wait for a new connection
• Added CSV tick and bar data loader params, thanks @rterbush
• Implemented LogGuard to ensure global logger is flushed on termination, thanks @ayush-sb and @twitu
• Improved Interactive Brokers client connectivity resilience and component lifecycle, thanks @benjaminsingleton
• Improved Binance execution client ping listen key error handling and logging
• Improved Redis cache adapter and message bus error handling and logging
• Improved Redis port parsing (DatabaseConfig.port can now be either a string or integer)
• Refactored InteractiveBrokersEWrapper, thanks @rsmb7z
• Redact Redis passwords in strings and logs
• Upgraded redis crate to v0.25.2 which bumps up TLS dependencies, and turned on tls-rustls-webpki-roots feature flag

Breaking Changes

None

Fixes

• Fixed JSON format for log file output (was missing timestamp and trader_id)
• Fixed DatabaseConfig port JSON parsing for Redis (was always defaulting to 6379)
• Fixed ChandeMomentumOscillator indicator divide by zero error (both Rust and Cython versions)

NautilusTrader 1.189.0 Beta

NautilusTrader 1.189.0 Beta

Released on 15th March 2024 (UTC).

Enhancements

• Implemented Binance order book snapshot rebuilds on websocket reconnect (see integration guide)
• Added additional validations for OrderMatchingEngine (will now raise a RuntimeError when a price or size precision for OrderFilled does not match the instruments precisions)
• Added LoggingConfig.use_pyo3 option for pyo3 based logging initialization (worse performance but allows visibility into logs originating from Rust)
• Added exchange field to FuturesContract, FuturesSpread, OptionsContract and OptionsSpread (optional)

Breaking Changes

• Changed Arrow schema adding exchange field for FuturesContract, FuturesSpread, OptionsContract and OptionsSpread

Fixes

• Fixed MessageBus handling of subscriptions after a topic has been published on (was previously dropping messages for these late subscribers)
• Fixed MessageBus handling of subscriptions under certain edge cases (subscriptions list could be resized on iteration causing a RuntimeError)
• Fixed Throttler handling of sending messages after messages have been dropped, thanks @davidsblom
• Fixed OrderBookDelta.to_pyo3_list using zero precision from clear delta
• Fixed DataTransformer.pyo3_order_book_deltas_to_record_batch_bytes using zero precision from clear delta
• Fixed OrderBookMbo and OrderBookMbp integrity check when crossed book
• Fixed OrderBookMbp error when attempting to add to a L1_MBP book type (now raises RuntimeError rather than panicking)
• Fixed Interactive Brokers connection error logging (#1524), thanks @benjaminsingleton
• Fixed SimulationModuleConfig location and missing re-export from config subpackage
• Fixed logging StdoutWriter from also writing error logs (writers were duplicating error logs)
• Fixed BinanceWebSocketClient to new specification which requires responding to pings with a pong containing the pings payload
• Fixed Binance Futures AccountBalance calculations based on wallet and available balance
• Fixed ExecAlgorithm circular import issue for installed wheels (importing from execution.algorithm was a circular import)

NautilusTrader 1.188.0 Beta

NautilusTrader 1.188.0 Beta

Released on 25th February 2024 (UTC).

Enhancements

• Added FuturesSpread instrument type
• Added OptionsSpread instrument type
• Added InstrumentClass.FUTURE_SPREAD
• Added InstrumentClass.OPTION_SPREAD
• Added managed parameter to subscribe_order_book_deltas, default true to retain current behavior (if false then the data engine will not automatically manage a book)
• Added managed parameter to subscribe_order_book_snapshots, default true to retain current behavior (if false then the data engine will not automatically manage a book)
• Added additional validations for OrderMatchingEngine (will now reject orders with incorrect price or quantity precisions)
• Removed interval_ms 20 millisecond limitation for subscribe_order_book_snapshots (i.e. just needs to be positive), although we recommend you consider subscribing to deltas below 100 milliseconds
• Ported LiveClock and LiveTimer implementations to Rust
• Implemented OrderBookDeltas pickling
• Implemented AverageTrueRange in Rust, thanks @rsmb7z

Breaking Changes

• Changed TradeId value maximum length to 36 characters (will raise a ValueError if value exceeds the maximum)

Fixes

• Fixed TradeId memory leak due assigning unique values to the Ustr global string cache (which are never freed for the lifetime of the program)
• Fixed TradeTick size precision for pyo3 conversion (size precision was incorrectly price precision)
• Fixed RiskEngine cash value check when selling (would previously divide quantity by price which is too much), thanks for reporting@AnthonyVince
• Fixed FOK time in force behavior (allows fills beyond the top level, will cancel if cannot fill full size)
• Fixed IOC time in force behavior (allows fills beyond the top level, will cancel any remaining after all fills are applied)
• Fixed LiveClock timer behavior for small intervals causing next time to be less than now (timer then would not run)
• Fixed log level filtering for log_level_file (bug introduced in v1.187.0), thanks @twitu
• Fixed logging print_config config option (was not being passed through to the logging system)
• Fixed logging timestamps for backtesting (static clock was not being incrementally set to individual TimeEvent timestamps)
• Fixed account balance updates (fills from zero quantity NETTING positions will generate account balance updates)
• Fixed MessageBus publishable types collection type (needed to be tuple not set)
• Fixed Controller registration of components to ensure all active clocks are iterated correctly during backtests
• Fixed Equity short selling for CASH accounts (will now reject)
• Fixed ActorFactory.create JSON encoding (was missing the encoding hook)
• Fixed ImportableConfig.create JSON encoding (was missing the encoding hook)
• Fixed ImportableStrategyConfig.create JSON encoding (was missing the encoding hook)
• Fixed ExecAlgorithmFactory.create JSON encoding (was missing the encoding hook)
• Fixed ControllerConfig base class and docstring
• Fixed Interactive Brokers historical bar data bug, thanks @benjaminsingleton
• Fixed persistence freeze_dict function to handle fs_storage_options, thanks @dimitar-petrov

NautilusTrader 1.187.0 Beta

NautilusTrader 1.187.0 Beta

Released on 9th February 2024 (UTC).

Enhancements

• Refined logging system module and writers in Rust, thanks @ayush-sb and @twitu
• Improved Interactive Brokers adapter symbology and parsing with a strict_symbology option, thanks @rsmb7z and @fhill2

Breaking Changes

• Reorganized configuration objects (separated into a config module per subpackage, with re-exports from nautilus_trader.config)

Fixes

• Fixed BacktestEngine and Trader disposal (now properly releasing resources), thanks for reporting @davidsblom
• Fixed circular import issues from configuration objects, thanks for reporting @cuberone
• Fixed unnecessary creation of log files when file logging off

NautilusTrader 1.186.0 Beta

NautilusTrader 1.186.0 Beta

Released on 2nd February 2024 (UTC).

Enhancements

None

Breaking Changes

None

Fixes

• Fixed Interactive Brokers get account positions bug (#1475), thanks @benjaminsingleton
• Fixed TimeBarAggregator handling of interval types on build
• Fixed BinanceSpotExecutionClient non-existent method name, thanks @sunlei
• Fixed unused psutil import, thanks @sunlei

NautilusTrader 1.185.0 Beta

NautilusTrader 1.185.0 Beta

Released on 26th January 2024 (UTC).

Enhancements

• Add warning log when bypass_logging is set true for a LIVE context
• Improved register_serializable object to also add type to internal _EXTERNAL_PUBLIHSABLE_TYPES
• Improved Interactive Brokers expiration contract parsing, thanks @fhill2

Breaking Changes

• Changed StreamingConfig.include_types type from tuple[str] to list[type] (better alignment with other type filters)
• Consolidated clock module into component module (reduce binary wheel size)
• Consolidated logging module into component module (reduce binary wheel size)

Fixes

• Fixed Arrow serialization of OrderUpdated (trigger_price type was incorrect), thanks @benjaminsingleton
• Fixed StreamingConfig.include_types behavior (was not being honored for instrument writers), thanks for reporting @doublier1
• Fixed ImportableStrategyConfig type assignment in StrategyFactory (#1470), thanks @rsmb7z

NautilusTrader 1.184.0 Beta

NautilusTrader 1.184.0 Beta

Released on 22nd January 2024 (UTC).

Enhancements

• Added LogLevel.OFF (matches the Rust tracing log levels)
• Added init_logging function with sensible defaults to initialize the Rust implemented logging system
• Updated Binance Futures enum members for BinanceFuturesContractType and BinanceFuturesPositionUpdateReason
• Improved log header using the sysinfo crate (adds swap space metrics and a PID identifier)
• Removed Python dependency on psutil

Breaking Changes

• Removed clock parameter from Logger (no dependency on Clock anymore)
• Renamed LoggerAdapter to Logger (and removed old Logger class)
• Renamed Logger component_name parameter to name (matches Python built-in logging API)
• Renamed OptionKind kind parameter and property to option_kind (better clarity)
• Renamed OptionsContract Arrow schema field kind to option_kind
• Changed level_file log level to OFF (file logging is off by default)

Fixes

• Fixed memory leak for catalog queries (#1430), thanks @twitu
• Fixed DataEngine order book snapshot timer names (could not parse instrument IDs with hyphens), thanks for reporting @x-zho14 and @dimitar-petrov
• Fixed LoggingConfig parsing of WARNING log level (was not being recognized), thanks for reporting @davidsblom
• Fixed Binance Futures QuoteTick parsing to capture event time for ts_event, thanks for reporting @x-zho14

NautilusTrader 1.183.0 Beta

NautilusTrader 1.183.0 Beta

Released on 12th January 2024 (UTC).

Enhancements

• Added NautilusConfig.json_primitives to convert object to Python dictionary with JSON primitive values
• Added InstrumentClass.BOND
• Added MessageBusConfig use_trader_prefix and use_trader_id options (provides more control over stream names)
• Added CacheConfig.drop_instruments_on_reset (default true to retain current behavior)
• Implemented core logging interface via the log crate, thanks @twitu
• Implemented global atomic clock in Rust (improves performance and ensures properly monotonic timestamps in real-time), thanks @twitu
• Improved Interactive Brokers adapter raising docker RuntimeError only when needed (not when using TWS), thanks @rsmb7z
• Upgraded core HTTP client to latest hyper and reqwest, thanks @ayush-sb
• Optimized Arrow encoding (resulting in ~100x faster writes for the Parquet data catalog)

Breaking Changes

• Changed ParquetDataCatalog custom data prefix from geneticdata_ to custom_ (you will need to rename any catalog subdirs)
• Changed ComponentStateChanged Arrow schema for config from string to binary
• Changed OrderInitialized Arrow schema for options from string to binary
• Changed OrderBookDeltas dictionary representation of deltas field from JSON bytes to a list of dict (standardize with all other data types)
• Changed external message publishing stream name keys to be trader-{trader_id}-{instance_id}-streams (with options allows many traders to publish to the same streams)
• Renamed all version 2 data wrangler classes with a V2 suffix for clarity
• Renamed GenericData to CustomData (more accurately reflects the nature of the type)
• Renamed DataClient.subscribed_generic_data to .subscribed_custom_data
• Renamed MessageBusConfig.stream to .streams_prefix (more accurate)
• Renamed ParquetDataCatalog.generic_data to .custom_data
• Renamed TradeReport to FillReport (more conventional terminology, and more clearly separates market data from user execution reports)
• Renamed asset_type to instrument_class across the codebase (more conventional terminology)
• Renamed AssetType enum to InstrumentClass (more conventional terminology)
• Renamed AssetClass.BOND to AssetClass.DEBT (more conventional terminology)
• Removed AssetClass.METAL (not strictly an asset class, more a futures category)
• Removed AssetClass.ENERGY (not strictly an asset class, more a futures category)
• Removed multiplier param from Equity constructor (not applicable)
• Removed size_precision, size_increment, and multiplier fields from Equity dictionary representation (not applicable)
• Removed TracingConfig (now redundant with new logging implementation)
• Removed Ticker data type and associated methods (not a type which can be practically normalized and so becomes adapter specific generic data)
• Moved AssetClass.SPORTS_BETTING to InstrumentClass.SPORTS_BETTING

Fixes

• Fixed logger thread leak, thanks @twitu
• Fixed handling of configuration objects to work with StreamingFeatherWriter
• Fixed BinanceSpotInstrumentProvider fee loading key error for partial instruments load, thanks for reporting @doublier1
• Fixed Binance API key configuration parsing for testnet (was falling through to non-testnet env vars)
• Fixed TWAP execution algorithm scheduled size handling when first order should be for the entire size, thanks for reporting @pcgm-team
• Added BinanceErrorCode.SERVER_BUSY (-1008), also added to the retry error codes
• Added BinanceOrderStatus.EXPIRED_IN_MATCH which is when an order was canceled by the exchange due self-trade prevention (STP), thanks for reporting @doublier1

NautilusTrader 1.182.0 Beta

NautilusTrader 1.182.0 Beta

Released on 23rd December 2023 (UTC).

Enhancements

• Added CacheDatabaseFacade and CacheDatabaseAdapter to abstract backing technology from Python codebase
• Added RedisCacheDatabase implemented in Rust with separate MPSC channel thread for insert, update and delete operations
• Added TA-Lib integration, thanks @rsmb7z
• Added OrderBookDelta and OrderBookDeltas to serializable and publishable types
• Moved PortfolioFacade to Actor
• Improved Actor and Strategy usability to be more lenient to mistaken calls to clock and logger from the constructor (warnings also added to docs)
• Removed redis and hiredis dependencies from Python codebase

Breaking Changes

• Changed configuration objects to take stronger types as these are now serializable when registered (rather than primitives)
• Changed NautilusKernelConfig.trader_id to type TraderId
• Changed BacktestDataConfig.instrument_id to type InstrumentId
• Changed ActorConfig.component_id to type ComponentId | None
• Changed StrategyConfig.strategy_id to type StrategyId | None
• Changed Instrument, OrderFilled and AccountState info field serialization due below fix (you'll need to flush your cache)
• Changed CacheConfig to take a DatabaseConfig (better symmetry with MessageBusConfig)
• Changed RedisCacheDatabase data structure for currencies from hashset to simpler key-value (you'll need to clear cache or delete all curreny keys)
• Changed Actor state loading to now use the standard Serializer
• Renamed register_json_encoding to register_config_encoding
• Renamed register_json_decoding to register_config_decoding
• Removed CacheDatabaseConfig (due above config change)
• Removed infrastructure subpackage (now redundant with new Rust implementation)

Fixes

• Fixed json encoding for CacheDatabaseAdapter from info field serialization fix below
• Fixed Instrument, OrderFilled and AccountState info field serialization to retain JSON serializable dicts (rather than double encoding and losing information)
• Fixed Binance Futures good_till_date value when time_in_force not GTD, such as when strategy is managing the GTD (was incorrectly passing through UNIX milliseconds)
• Fixed Executor handling of queued task IDs (was not discarding from queued tasks on completion)
• Fixed DataEngine handling of order book snapshots with very small intervals (now handles as short as 20 milliseconds)
• Fixed BacktestEngine.clear_actors(), BacktestEngine.clear_strategies() and BacktestEngine.clear_exec_algorithms(), thanks for reporting @davidsblom
• Fixed BacktestEngine OrderEmulator reset, thanks @davidsblom
• Fixed Throttler.reset and reset of RiskEngine throttlers, thanks @davidsblom

NautilusTrader 1.181.0 Beta

NautilusTrader 1.181.0 Beta

Released on 2nd December (UTC).

This release adds support for Python 3.12.

Enhancements

• Rewrote Interactive Brokers integration documentation, many thanks @benjaminsingleton
• Added Interactive Brokers adapter support for crypto instruments with cash quantity, thanks @benjaminsingleton
• Added HistoricInteractiveBrokerClient, thanks @benjaminsingleton and @limx0
• Added DataEngineConfig.time_bars_interval_type (determines the type of interval used for time aggregation left-open or right-open)
• Added LoggingConfig.log_colors to optionally use ANSI codes to produce colored logs (default true to retain current behavior)
• Added QuoteTickDataWrangler.process_bar_data options for offset_interval_ms and timestamp_is_close
• Added identifier generators in Rust, thanks @filipmacek
• Added OrderFactory in Rust, thanks @filipmacek
• Added WilderMovingAverage in Rust, thanks @ayush-sb
• Added HullMovingAverage in Rust, thanks @ayush-sb
• Added all common identifier generators in Rust, thanks @filipmacek
• Added generic SQL database support with sqlx in Rust, thanks @filipmacek

Breaking Changes

• Consolidated all data submodules into one data module (reduce binary wheel size)
• Moved OrderBook from model.orderbook.book to model.book (subpackage only had this single module)
• Moved Currency from model.currency to model.objects (consolidating modules to reduce binary wheel size)
• Moved MessageBus from common.msgbus to common.component (consolidating modules to reduce binary wheel size)
• Moved MsgSpecSerializer from serialization.msgpack.serializer to serialization.serializer
• Moved CacheConfig snapshot_orders, snapshot_positions, snapshot_positions_interval to NautilusKernelConfig (logical applicability)
• Renamed MsgPackSerializer to MsgSpecSeralizer (now handles both JSON and MsgPack formats)

Fixes

• Fixed missing trader_id in Position dictionary representation, thanks @filipmacek
• Fixed conversion of fixed precision integers to floats (should be dividing to avoid rounding errors), thanks for reporting @filipmacek
• Fixed daily timestamp parsing for Interactive Brokers, thanks @benjaminsingleton
• Fixed live reconciliation trade processing for partially filled then canceled orders
• Fixed RiskEngine cumulative notional risk check for CurrencyPair SELL orders on multi-currency cash accounts